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An Alternative Three Factor Model For International Markets
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Book Synopsis An Alternative Three-Factor Model for International Markets by : Manuel Ammann
Download or read book An Alternative Three-Factor Model for International Markets written by Manuel Ammann and published by . This book was released on 2013 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we construct the three-factor model introduced by Chen et al. (2010) for a European sample covering 10 countries from the European Monetary Union and the period from 1990 to 2006. Two key findings result. First, we show that the properties of the European factors are comparable to those of the U.S. factors. Second, we show that the alternative three-factor model's explanatory power is either equal or superior to the explanatory power of traditional models when applied to five commonly known stock market anomalies. Our results thus suggest the use of international versions of the Chen et al. (2010) factor model in addition to traditional factor models in international empirical finance research.
Book Synopsis A Respecified Fama French Three Factor Model for the Eastern European Transition Nations by : James Foye
Download or read book A Respecified Fama French Three Factor Model for the Eastern European Transition Nations written by James Foye and published by . This book was released on 2016 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses factor models to explain stock market returns in the Eastern European (EE) countries that joined the European Union (EU) in 2004. In line with other studies, we find that the market value of equity component in the Fama French (1993) three factor model performs poorly when applied to our emerging markets dataset. We propose a significant amendment to the standard three factor model by replacing the market value of equity factor with a term that proxies for accounting manipulation. We show that our three factor model is better able to explain returns in the EE EU nations than the Fama French (1993) three factor model, hereby offering an alternative model for use in the numerous markets in which previous studies have found little correlation between market value of equity and equity returns.
Book Synopsis Financial Econometrics by : Svetlozar T. Rachev
Download or read book Financial Econometrics written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2007-03-22 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.
Book Synopsis The New Finance by : Robert A. Haugen
Download or read book The New Finance written by Robert A. Haugen and published by . This book was released on 2012 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: A supplement for junior/senior and graduate level courses in Investments, Behavioral Finance Theory, and related courses. Teach the concepts that expose the inefficiency of capital markets. The New Finance is a comprehensive and organized collection of evidence and arguments that develop a persuasive case for an inefficient, complex and, at times, nearly chaotic stock market. This brief text also shows students how the complexity and uniqueness of investor interactions have important market pricing consequences. The fourth edition includes two new chapters on the real determinants of expected stock returns and the nature of stock volatility that the Financial Crisis of 2008 has exposed.
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis A New Look at the Fama-French Model by : Matthias X. Hanauer
Download or read book A New Look at the Fama-French Model written by Matthias X. Hanauer and published by . This book was released on 2014 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the Fama-French three-factor model for a large international data set using an alternative proxy for expected returns - the implied cost of capital (ICC). The implied risk premiums of the three factors are all highly significant. Also, the cross-country variation of each of the three factor risk premiums is much smaller compared to their counterparts based on realized returns. For all countries, we find the cross-sectional variation in expected stock returns not only to depend on the stock's market risk but also to be driven by its exposure toward the implied size and value factors. Moreover, even though portfolio intercepts for the three-factor model display significant alphas, they are very small from an economic perspective. We conclude that the Fama-French three-factor model is an appropriate asset pricing model using this alternative proxy for expected returns.
Book Synopsis Factor Investing by : Emmanuel Jurczenko
Download or read book Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2017-10-17 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners
Book Synopsis Price-Based Investment Strategies by : Adam Zaremba
Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Book Synopsis Paul A. Samuelson by : John Cunningham Wood
Download or read book Paul A. Samuelson written by John Cunningham Wood and published by Taylor & Francis. This book was released on 2005 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: Samuelson is a key figure in economic thinking. This gathers the essential assessments of this important economist, and provides an unparalleled insight into his lasting impact on economics.
Book Synopsis Tests of Alternative International Asset Pricing Models by : Maria Vassalou
Download or read book Tests of Alternative International Asset Pricing Models written by Maria Vassalou and published by . This book was released on 1995 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Country Asset Allocation by : Adam Zaremba
Download or read book Country Asset Allocation written by Adam Zaremba and published by Springer. This book was released on 2016-10-26 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.
Book Synopsis International Journal of Market Research by :
Download or read book International Journal of Market Research written by and published by . This book was released on 2009 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Eurasian Economic Perspectives by : Mehmet Huseyin Bilgin
Download or read book Eurasian Economic Perspectives written by Mehmet Huseyin Bilgin and published by Springer Nature. This book was released on 2020-02-04 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Eurasian Studies in Business and Economics includes selected papers from the 25th Business and Economics Society (EBES) Conference, held in Berlin, Germany, in May 2018. While the theoretical and empirical papers presented cover diverse areas of economics and finance from different geographic regions, the main focus is on the latest research in the economics of innovation, investment and risk management together with regional studies. The book also includes studies on law and regulation themes such as economic offences by women, formation of contracts via the internet and public tender for residents of communes.
Book Synopsis Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023) by : Amalendu Bhunia
Download or read book Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023) written by Amalendu Bhunia and published by Springer Nature. This book was released on 2023-11-30 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. Finance and trade are the keys to the world's continued economic and social development. Studying finance and trade can help us better understand how the world works. In addition, business management is crucial for an enterprise and a country's sustainable development. The conference mainly focused on research fields such as finance, trade, and business management. The 2023 International Conference on Finance, Trade, and Business Management(FTBM2023)will be held on September 22-24, 2023 by ZOOM. The purpose of the conference is to provide a chance for experts and scholars engaged in finance, trade, and business management-related research to exchange scientific research results and cutting-edge technologies, understand academic development trends, broaden research ideas, strengthen academic research and discussions, and promote cooperation in the industrialization of academic achievements. We sincerely invite experts, scholars, business people, and other relevant people from universities and scientific research institutions at home and abroad to attend the conference!
Book Synopsis A Beta-return Efficient Portfolio Optimisation Following the CAPM by : Markus Vollmer
Download or read book A Beta-return Efficient Portfolio Optimisation Following the CAPM written by Markus Vollmer and published by Springer. This book was released on 2014-07-17 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors are trying to generate excess returns through active investment strategies. Since the outbreak of the financial crisis, investors face a situation where increased risks are accompanied by falling key interest rates. An optimal portfolio in terms of risk and return becomes a perpetual motion machine. Markus Vollmer answers the question how the seemingly impossible could still be achieved by an empirical analysis of historical data of 1’800 stocks listed at equity markets in 24 countries covering all 19 super sectors. The author offers valid and reliable findings by using the previously mentioned data proxy. He reveals purposefully the need for further research and simultaneously he derives specific and applicable guidelines for the design of investment strategies which are extremely exciting for both the institutional expert and the private investor.
Book Synopsis International Investments in Private Equity by : Peter Klaus Cornelius
Download or read book International Investments in Private Equity written by Peter Klaus Cornelius and published by Academic Press. This book was released on 2011-02-17 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: How can private equity investors exploit investment opportunities in foreign markets? Peter Cornelius uses a proprietary database to investigate and describe private equity markets worldwide, revealing their levels of integration, their risks, and the ways that investors can mitigate those risks. In three major sections that concentrate on the risk and return profile of private equity, the growth dynamics of discrete markets and geographies, and opportunities for private equity investments, he offers hard-to-find analyses that fill knowledge gaps about foreign markets. Observing that despite the progressive dismantling of barriers investors are still home-biased, he demonstrates that a methodical approach to understanding foreign private equity markets can take advantage of the macroeconomic and structural factors that drive supply and demand dynamics in individual markets. Foreword by Josh Lerner Teaches readers how to investigate and analyze foreign private equity markets Forecasts private equity investment opportunities via macroeconomic and structural factors in individual markets Draws on data from a proprietary database covering 250 buyout and VC funds and 7,000 portfolio companies
Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
